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Jonathan Brogaard

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Brogaard, Jonathan & Carrion, Allen & Moyaert, Thibaut & Riordan, Ryan & Shkilko, Andriy & Sokolov, Konstantin, 2018. "High frequency trading and extreme price movements," LIDAM Reprints LFIN 2018009, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
    2. Tao Chen, 2022. "Are individuals informed in global markets?," Empirical Economics, Springer, vol. 63(1), pages 243-263, July.
    3. Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
    4. Usman Arief & Zaäfri Ananto Husodo, 2021. "Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 221-242, Emerald Group Publishing Limited.
    5. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Bank of Finland Research Discussion Papers 1/2018, Bank of Finland.
    6. Tao Chen & Kam C. Chan & Haodong Chang, 2022. "Periodicity of trading activity in foreign exchange markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 445-465, June.
    7. Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
    8. Jing Nie & Juliana Malagon & Julian Williams, 2022. "The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1434-1465, August.
    9. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    10. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
    11. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    12. Yamada, Masahiro, 2022. "Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?," Finance Research Letters, Elsevier, vol. 46(PA).
    13. Rif, Alexandru & Utz, Sebastian, 2021. "Short-term stock price reversals after extreme downward price movements," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 123-133.
    14. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.
    15. Jangkoo Kang & Kyung Yoon Kwon & Wooyeon Kim, 2020. "Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 164-191, February.
    16. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    17. Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 25(3), pages 1156-1199, September.
    18. Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
    19. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
    20. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2019. "Do "speed bumps" prevent accidents in financial markets?," CFS Working Paper Series 636, Center for Financial Studies (CFS).
    21. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    22. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Post-Print halshs-01984442, HAL.
    23. Dimitris Papadimitriou, 2023. "Trading under uncertainty about other market participants," The Financial Review, Eastern Finance Association, vol. 58(2), pages 343-367, May.
    24. Yang, Haijun & Ge, Hengshun & Luo, Ying, 2020. "The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity," Research in International Business and Finance, Elsevier, vol. 53(C).
    25. Khaladdin Rzayev & Gbenga Ibikunle, 2021. "Order aggressiveness and flash crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2647-2673, April.
    26. Dion Bongaerts & Richard Roll & Dominik Rösch & Mathijs van Dijk & Darya Yuferova, 2022. "How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective," Management Science, INFORMS, vol. 68(4), pages 3071-3089, April.
    27. G. Ibikunle & B. Moews & K. Rzayev, 2024. "Can machine learning unlock new insights into high-frequency trading?," Papers 2405.08101, arXiv.org.
    28. Xu, Ke, 2023. "High frequency market making during stressed periods," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 379-397.
    29. Laly, Floris & Petitjean, Mikael, 2021. "Mini flash crashes: Review, taxonomy and policy responses," LIDAM Reprints LFIN 2021017, Université catholique de Louvain, Louvain Finance (LFIN).
    30. Prodromou, Tina & Westerholm, P. Joakim, 2022. "Are high frequency traders responsible for extreme price movements?," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 94-111.
    31. Francesco Cordoni & Fabrizio Lillo, 2020. "Instabilities in Multi-Asset and Multi-Agent Market Impact Games," Papers 2004.03546, arXiv.org, revised Nov 2021.
    32. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    33. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    34. Khairul Zharif Zaharudin & Martin R. Young & Wei‐Huei Hsu, 2022. "High‐frequency trading: Definition, implications, and controversies," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 75-107, February.
    35. Wang, Hu & Shen, Hong & Li, Shouwei, 2023. "ESG performance and stock price fragility," Finance Research Letters, Elsevier, vol. 56(C).
    36. Julien Hambuckers & Li Sun & Luca Trapin, 2023. "Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors," Papers 2301.01362, arXiv.org.
    37. Alexander Koch & Toan Luu Duc Huynh & Mei Wang, 2024. "News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 5-34, January.
    38. Jurkatis, Simon, 2020. "Inferring trade directions in fast markets," Bank of England working papers 896, Bank of England.
    39. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    40. Matteo Aquilina & Eric Budish & Peter O’Neill, 2022. "Quantifying the High-Frequency Trading “Arms Race”," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(1), pages 493-564.
    41. Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
    42. Nunes, João Pedro Vidal & Ruas, João Pedro, 2024. "A note on the Gumbel convergence for the Lee and Mykland jump tests," Finance Research Letters, Elsevier, vol. 59(C).
    43. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2023. "Dark trading and financial markets stability," CFS Working Paper Series 691, Center for Financial Studies (CFS).
    44. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
    45. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    46. Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
    47. Benjamin Clapham & Martin Haferkorn & Kai Zimmermann, 2023. "The Impact of High-Frequency Trading on Modern Securities Markets," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 65(1), pages 7-24, February.
    48. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
    49. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022. "Informed options strategies before corporate events," LawFin Working Paper Series 39, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    50. Banerjee, Anirban & Nawn, Samarpan, 2024. "Proprietary algorithmic traders and liquidity supply during the pandemic," Finance Research Letters, Elsevier, vol. 61(C).
    51. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    52. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    53. Ekinci, Cumhur & Ersan, Oğuz, 2022. "High-frequency trading and market quality: The case of a “slightly exposed” market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    54. Aquilina, Matteo & Budish, Eric B. & O'Neill, Peter, 2020. "Quantifying the High-Frequency Trading "Arms Race": A Simple New Methodology and Estimates," Working Papers 300, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    55. Alex Frino & Dionigi Gerace & Masud Behnia, 2021. "The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1301-1314, August.
    56. John Coughlan & Alexei G. Orlov, 2023. "High‐frequency trading and market quality: Evidence from account‐level futures data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1126-1160, August.

  2. Jonathan Brogaard & Corey Garriott & Anna Pomeranets, 2014. "High-Frequency Trading Competition," Staff Working Papers 14-19, Bank of Canada.

    Cited by:

    1. Michael Brolley & David A. Cimon, 2018. "Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays," Staff Working Papers 18-16, Bank of Canada.
    2. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
    3. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    4. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    6. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    7. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
    8. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    9. Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
    10. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
    11. Wu, Ming & Ohk, Ki Yool, 2023. "Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 409-427.
    12. Ke Xu & Xinwei Zheng & Deng Pan & Li Xing & Xuekui Zhang, 2020. "Stock Market Openness And Market Quality: Evidence From The Shanghai–Hong Kong Stock Connect Program," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 373-406, May.
    13. Aldrich, Eric M & Friedman, Daniel, 2019. "Order Protection through Delayed Messaging," Santa Cruz Department of Economics, Working Paper Series qt4938f518, Department of Economics, UC Santa Cruz.
    14. Morten Linnemann Bech & Anamaria Illes & Ulf Lewrick & Andreas Schrimpf, 2016. "Hanging up the phone - electronic trading in fixed income markets and its implications," BIS Quarterly Review, Bank for International Settlements, March.
    15. He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    16. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, June.
    17. Baldauf, Markus & Mollner, Joshua & Yueshen, Bart Zhou, 2024. "Siphoned apart: A portfolio perspective on order flow segmentation," Journal of Financial Economics, Elsevier, vol. 154(C).
    18. Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 25(3), pages 1156-1199, September.
    19. Dixon, Peter N. & Fox, Corbin A. & Kelley, Eric K., 2021. "To own or not to own: Stock loans around dividend payments," Journal of Financial Economics, Elsevier, vol. 140(2), pages 539-559.
    20. Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2023. "Arbitrage bots in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 262-278.
    21. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "High Frequency Trading: Strategic Competition Between Slow and Fast Traders," Economics Department Working Paper Series n296-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    22. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo-Barrera & Lorenzo Moneta, 2021. "When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book," Papers 2109.04812, arXiv.org.
    23. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020, January-A.
    24. Xiong, Tao & Li, Miao, 2024. "Does market quality benefit from internationalization? Evidence from Chinese commodity futures markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
    25. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
    26. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
    27. Ge, Hengshun & Yang, Haijun & Doukas, John A., 2024. "The optimal strategies of competitive high-frequency traders and effects on market liquidity," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 653-679.
    28. Henryk Gurgul & Robert Syrek, 2016. "The logarithmic ACD model: The microstructure of the German and Polish stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 77-92.
    29. Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2017. "Interactions among High-Frequency Traders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1375-1402, August.
    30. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    31. Кравчук, Ігор Святославович, 2018. "Сучасні тенденції електронної торгівлі обіговими фінансовими інструментами // Modern trends of electronic trading by negotiable financial instruments," Вісник Житомирського державного технологічного університету. Серія: Економічні науки // THE JOURNAL OF ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY. SERIES: ECONOMICS, Житомирський державний технологічний університет // ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY, vol. 83(1).
    32. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    33. Marius Cristian Miloș, 2021. "Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets," Laws, MDPI, vol. 10(3), pages 1-11, June.
    34. Eric M. Aldrich & Kristian López Vargas, 2020. "Experiments in high-frequency trading: comparing two market institutions," Experimental Economics, Springer;Economic Science Association, vol. 23(2), pages 322-352, June.
    35. Ekinci, Cumhur & Ersan, Oğuz, 2022. "High-frequency trading and market quality: The case of a “slightly exposed” market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    36. Tomy Lee, 2019. "Latency in Fragmented Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
    37. Sha, Yezhou & Zhang, Ping & Wang, Yiru & Xu, Yifan, 2022. "Capital market opening and green innovation——Evidence from Shanghai-Hong Kong stock connect and the Shenzhen-Hong Kong stock connect," Energy Economics, Elsevier, vol. 111(C).

  3. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.

    Cited by:

    1. Baoqiang Zhan & Shu Zhang & Helen S. Du & Xiaoguang Yang, 2022. "Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 861-882, October.
    2. Nopparat Wongsinhirun & Pattanaporn Chatjuthamard & Sirimon Treepongkaruna & Tanakorn Likitapiwatc, 2021. "Do algorithm traders mitigate insider trading profits?: Evidence from the Thai stock market," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-15, July.
    3. Huszár, Zsuzsa R. & Tan, Ruth S.K. & Zhang, Weina, 2017. "Do short sellers exploit industry information?," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 118-139.
    4. Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03029284, HAL.
    5. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
    6. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
    7. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
    8. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
    9. Bruno Biais & Fany Declerck & Sophie Moinas, 2016. "Who supplies liquidity, how and when?," BIS Working Papers 563, Bank for International Settlements.
    10. Reza Bradrania & Andrew Grant & Peter Joakim Westerholm & Wei Wu, 2017. "Fool's mate: What does CHESS tell us about individual investor trading performance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(4), pages 981-1017, December.
    11. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
    12. Bastian von Beschwitz & Donald B Keim & Massimo Massa, 2020. "First to “Read” the News: News Analytics and Algorithmic Trading," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 122-178.
    13. Yifan He & Abootaleb Shirvani & Barret Shao & Svetlozar Rachev & Frank Fabozzi, 2024. "Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon," Papers 2404.11722, arXiv.org, revised Oct 2024.
    14. Ye, Cheng & Qiu, Yanjun & Lu, Guohao & Hou, Yawen, 2018. "Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1009-1018.
    15. Marouane Anane & Frédéric Abergel, 2014. "Optimal high frequency strategy in an omniscient order book," Working Papers hal-01006401, HAL.
    16. Tian, Xiao & Do, Binh & Duong, Huu Nhan & Kalev, Petko S., 2015. "Liquidity provision and informed trading by individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 143-162.
    17. Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
    18. Michael Brolley & David A. Cimon, 2018. "Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays," Staff Working Papers 18-16, Bank of Canada.
    19. Pei, Duo & Vasarhelyi, Miklos A., 2020. "Big data and algorithmic trading against periodic and tangible asset reporting: The need for U-XBRL," International Journal of Accounting Information Systems, Elsevier, vol. 37(C).
    20. Ziyi Xu & Xue Cheng, 2023. "The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper," Papers 2304.13985, arXiv.org, revised Feb 2024.
    21. Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022. "Contagious margin calls: How COVID-19 threatened global stock market liquidity," Journal of Financial Markets, Elsevier, vol. 59(PA).
    22. Bastidon, Cécile & Jawadi, Fredj, 2024. "Trade fragmentation and volatility-of-volatility networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    23. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
    24. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    25. Kusumah, Echo Perdana, 2018. "Trading Channel Pattern of Cassava Commodity: Double Roles for the Farmers – Is It a Benefit?," MPRA Paper 88245, University Library of Munich, Germany.
    26. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    27. Hatch, Brian C. & Johnson, Shane A. & Wang, Qin Emma & Zhang, Jun, 2021. "Algorithmic trading and firm value," Journal of Banking & Finance, Elsevier, vol. 125(C).
    28. Zhifeng Cai, 2020. "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers 202002, Rutgers University, Department of Economics.
    29. Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
    30. Goergen, Marc & Renneboog, Luc & Zhao, Yang, 2019. "Insider trading and networked directors," Other publications TiSEM dd590177-d348-410e-a971-b, Tilburg University, School of Economics and Management.
    31. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    32. Clark-Joseph, Adam D. & Ye, Mao & Zi, Chao, 2017. "Designated market makers still matter: Evidence from two natural experiments," Journal of Financial Economics, Elsevier, vol. 126(3), pages 652-667.
    33. Bazzana, Flavio & Collini, Andrea, 2020. "How does HFT activity impact market volatility and the bid-ask spread after an exogenous shock? An empirical analysis on S&P 500 ETF," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    34. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    35. Vincent Van Kervel & Albert J. Menkveld, 2019. "High‐Frequency Trading around Large Institutional Orders," Journal of Finance, American Finance Association, vol. 74(3), pages 1091-1137, June.
    36. Matthew Clegg & Christopher Krauss, 2018. "Pairs trading with partial cointegration," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 121-138, January.
    37. Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Getmansky Sherman, Mila & Yuferova, Darya, 2021. "Recovery from fast crashes: Role of mutual funds," SAFE Working Paper Series 227, Leibniz Institute for Financial Research SAFE, revised 2021.
    38. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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    316. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2023. "Dark trading and financial markets stability," CFS Working Paper Series 691, Center for Financial Studies (CFS).
    317. Jiaer He & Roberto Rivera, 2023. "A Modeling Approach of Return and Volatility of Structured Investment Products with Caps and Floors," Papers 2311.06282, arXiv.org.
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    320. Das, Sougata & Kadapakkam, Palani-Rajan, 2020. "Machine over Mind? Stock price clustering in the era of algorithmic trading," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    321. Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
    322. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
    323. Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
    324. Delaney, L., 2015. "An Examination of the Optimal Timing Strategy for a Slow Trader Investing in a High Frequency Trading Technology," Working Papers 15/04, Department of Economics, City University London.
    325. Delaney, Laura, 2018. "Investment in high-frequency trading technology: A real options approach," European Journal of Operational Research, Elsevier, vol. 270(1), pages 375-385.
    326. Bogoev, Dimitar & Karam, Arzé, 2017. "Detection of algorithmic trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 168-181.
    327. Leonid B. Sokolinsky & Irina M. Sokolinskaya, 2023. "Apex Method: A New Scalable Iterative Method for Linear Programming," Mathematics, MDPI, vol. 11(7), pages 1-28, March.
    328. Benjamin Clapham & Martin Haferkorn & Kai Zimmermann, 2023. "The Impact of High-Frequency Trading on Modern Securities Markets," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 65(1), pages 7-24, February.
    329. Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
    330. Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M., 2013. "Sub-Penny and Queue-Jumping," Working Paper Series 2013-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    331. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    332. Kou, Mingting & Yang, Yuanqi & Chen, Kaihua, 2024. "Financial technology research: Past and future trajectories," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 162-181.
    333. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
    334. Wan, Junmin, 2024. "Bubble occurrence and landing," Journal of Financial Stability, Elsevier, vol. 70(C).
    335. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
    336. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
    337. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    338. Bidisha Chakrabarty & Pankaj K. Jain & Andriy Shkilko & Konstantin Sokolov, 2021. "Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5," Management Science, INFORMS, vol. 67(2), pages 1183-1198, February.
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    340. Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
    341. Chin, Chang-Chiang & Paphakin, Warinthorn, 2021. "The daily relationship between U.S. asset prices and stock prices of American countries," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    342. Arifovic, Jasmina & He, Xue-zhong & Wei, Lijian, 2022. "Machine learning and speed in high-frequency trading," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    343. Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).
    344. Mariana Khapko & Marius Zoican, 2019. "Do speed bumps curb low-latency trading? Evidence from a laboratory market," Papers 1910.03068, arXiv.org.
    345. Ikizlerli, Deniz & Holmes, Phil & Anderson, Keith, 2019. "The response of different investor types to macroeconomic news," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 13-28.
    346. Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2015, January-A.
    347. Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.
    348. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    349. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
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Articles

  1. Jonathan Brogaard & Jing Pan, 2022. "Dark Pool Trading and Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2625-2666.

    Cited by:

    1. Crego, Julio & Gider, Jasmin, 2024. "The dynamic informativeness of scheduled news," Other publications TiSEM d4538ed2-3aeb-4259-b1f1-2, Tilburg University, School of Economics and Management.
    2. Blanco, Ivan & Martin-Flores, Jose M. & Remesal, Alvaro, 2024. "Climate shocks, institutional investors, and the information content of stock prices," Journal of Corporate Finance, Elsevier, vol. 86(C).
    3. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2023. "Spoilt for choice: Determinants of market shares in fragmented equity markets," Journal of Financial Markets, Elsevier, vol. 64(C).

  2. Jonathan Brogaard & Thanh Huong Nguyen & Talis J Putnins & Eliza Wu, 2022. "What Moves Stock Prices? The Roles of News, Noise, and Information," The Review of Financial Studies, Society for Financial Studies, vol. 35(9), pages 4341-4386.

    Cited by:

    1. Maryam Farboodi & Adrien Matray & Laura Veldkamp & Venky Venkateswaran, 2022. "Where Has All the Data Gone?," The Review of Financial Studies, Society for Financial Studies, vol. 35(7), pages 3101-3138.
    2. Reyes, Tomas & Batista, Julian A. & Chacon, Alvaro & Martinez, Diego & Kausel, Edgar E., 2023. "Attention-driven reaction to extreme earnings surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 230-248.
    3. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    4. Jia, Shaoqing & An, Yunbi & Yang, Liuyong & Zhou, Fangzhao, 2024. "Price limit relaxation and stock price crash risk: Evidence from China," Finance Research Letters, Elsevier, vol. 59(C).
    5. Nazif Durmaz & Hyeongwoo Kim & Hyejin Lee & Yanfei Sun, 2023. "Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts," Auburn Economics Working Paper Series auwp2023-03, Department of Economics, Auburn University.
    6. Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
    7. Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
    8. Pérez-Rodríguez, Jorge V. & Sosvilla-Rivero, Simón & Andrada-Felix, Julián & Gómez-Déniz, Emilio, 2022. "Searching for informed traders in stock markets: The case of Banco Popular," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    9. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    10. Nazif Durmaz & Hyeongwoo Kim & Hyejin Lee & Yanfei Sun, 2023. "Trend Breaks and the Persistence of Closed-End Fund Discounts," Auburn Economics Working Paper Series auwp2023-08, Department of Economics, Auburn University.
    11. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020, January-A.
    12. Dimitris Papadimitriou, 2023. "Trading under uncertainty about other market participants," The Financial Review, Eastern Finance Association, vol. 58(2), pages 343-367, May.
    13. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: evidence from Frankfurt-London microwave," LSE Research Online Documents on Economics 119989, London School of Economics and Political Science, LSE Library.
    14. Cheema, Arbab K. & Eshraghi, Arman & Wang, Qingwei, 2023. "Macroeconomic news and price synchronicity," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 390-412.
    15. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
    16. Chen, Guanhua & Liu, Xiangli & Liu, Xiao & Zhao, Zhihua, 2024. "ETF ownership and stock pricing efficiency: The role of ETF arbitrage," Finance Research Letters, Elsevier, vol. 62(PA).
    17. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.

  3. Bhagwat, Vineet & Brogaard, Jonathan & Julio, Brandon, 2021. "A BIT goes a long way: Bilateral investment treaties and cross-border mergers," Journal of Financial Economics, Elsevier, vol. 140(2), pages 514-538.

    Cited by:

    1. Eichler, Stefan & Nauerth, Jannik André, 2024. "Bilateral investment treaties and portfolio investment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    2. Gopalakrishnan, Balagopal & Jacob, Joshy & Srivastava, Jagriti, 2022. "Fishing in muddy waters: Mergers and acquisitions during uncertainty," IIMA Working Papers WP 2022-09-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    3. Federico Carril-Caccia & Juliette Milgram Baleix & Jordi Paniagua, 2022. "Does terrorism affect greenfield investment? A structural gravity approach," ThE Papers 22/06, Department of Economic Theory and Economic History of the University of Granada..
    4. Eichler, Stefan & Nauerth, Jannik A., 2024. "Bilateral investment treaties and portfolio investment," CEPIE Working Papers 01/24, Technische Universität Dresden, Center of Public and International Economics (CEPIE).
    5. Gómez-Mera, Laura & Varela, Gonzalo, 2024. "Emerging market multinationals and international investment agreements," International Business Review, Elsevier, vol. 33(3).
    6. Radovan Kastratović & Predrag Bjelić, 2023. "The Effectiveness Of Bilateral Investment Treaties In Attracting Foreign Direct Investment: The Case Of Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 68(237), pages 37-68, April – J.
    7. Joshua Yindenaba Abor & Richard Adjei Dwumfour & Elikplimi Komla Agbloyor & Lei Pan, 2024. "Foreign direct investment and inclusive finance: do financial markets and quality of institutions matter?," Empirical Economics, Springer, vol. 67(2), pages 773-815, August.
    8. Peter Egger & Alain Pirotte & Catharine Titi, 2023. "International investment agreements and foreign direct investment: A survey," The World Economy, Wiley Blackwell, vol. 46(6), pages 1524-1565, June.
    9. Wang, Yichen & Hu, Jun & Chen, Jia, 2023. "Does Fintech facilitate cross-border M&As? Evidence from Chinese A-share listed firms," International Review of Financial Analysis, Elsevier, vol. 85(C).
    10. Huang, Chenghao & Jin, Zhi & Tian, Siyang & Wu, Eliza, 2023. "The real effects of corruption on M&A flows: Evidence from China's anti-corruption campaign," Journal of Banking & Finance, Elsevier, vol. 150(C).
    11. Muhammad Farooq Ahmad & Nihat Aktas & Douglas Cumming & Guosong Xu, 2024. "Board reforms and M&A performance: international evidence," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(5), pages 616-637, July.

  4. Jonathan Brogaard & Matthew Denes & Ran Duchin & David Denis, 2021. "Political Influence and the Renegotiation of Government Contracts," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 3095-3137.

    Cited by:

    1. Brugués, Felipe & Brugués, Javier & Giambra, Samuele, 2024. "Political connections and misallocation of procurement contracts: Evidence from Ecuador," Journal of Development Economics, Elsevier, vol. 170(C).
    2. Barbakadze, I., 2023. "With a Little Help from My Friend: Political Connections and Allocation of COVID-19 Aid," Cambridge Working Papers in Economics 2355, Faculty of Economics, University of Cambridge.
    3. Liu, Hengxu & Zhao, Wenxi, 2023. "The role of political connections in bad times: Evidence from the COVID-19 pandemic," Economics Letters, Elsevier, vol. 224(C).
    4. Michelson, Noam, 2023. "The revolving door of former civil servants and firm value: A comprehensive approach," European Journal of Political Economy, Elsevier, vol. 79(C).
    5. Marco Grotteria & Max Miller & S.Lakshmi Naaraayanan, 2024. "Foreign influence in US politics," Discussion Papers 2024-12, Nottingham Interdisciplinary Centre for Economic and Political Research (NICEP).
    6. Senay Agca & Deniz Igan, 2022. "The Lion's Share: Evidence from Federal Contracts on the Value of Political Connections," BIS Working Papers 1058, Bank for International Settlements.
    7. Jiao, Anqi & Lu, Juntai, 2024. "Buffing firm innovation by lobbying," Journal of Corporate Finance, Elsevier, vol. 85(C).
    8. J. David Brown & Matthew Denes & Ran Duchin & John Hackney, 2024. "How Big is Small? The Economic Effects of Access to Small Business Subsidies," Working Papers 24-28, Center for Economic Studies, U.S. Census Bureau.
    9. Bonifaz, José L. & Saavedra, Eduardo H., 2023. "Aggressive bidding and the renegotiation of concession contracts: Empirical evidence from Peru," Utilities Policy, Elsevier, vol. 85(C).
    10. Nguyen, Hieu Quang, 2023. "Corruption, political connection, and firm investments," International Review of Financial Analysis, Elsevier, vol. 90(C).
    11. Huq, Tahsin Imtiazul & Hassan, M.Kabir & Houston, Reza, 2022. "The effects of firm political contributions on earmarks and subsequent firm performance," Research in International Business and Finance, Elsevier, vol. 62(C).
    12. Brogaard, Jonathan & Gerasimova, Nataliya & Rohrer, Maximilian, 2024. "The effect of female leadership on contracting from Capitol Hill to Main Street," Journal of Financial Economics, Elsevier, vol. 155(C).
    13. Yujing Huang, 2022. "The Impact of Government Official Assessment on Ecological Poverty Alleviation: Evidence from Chinese Listed Companies," IJERPH, MDPI, vol. 19(6), pages 1-19, March.
    14. Chu, Yongqiang & Zhang, Tim, 2022. "Political influence and banks: Evidence from mortgage lending," Journal of Financial Intermediation, Elsevier, vol. 52(C).

  5. Jonathan Brogaard & Lili Dai & Phong T H Ngo & Bohui Zhang, 2020. "Global Political Uncertainty and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1737-1780.

    Cited by:

    1. Wang, Liyao, 2024. "Partisan conflict and corporate credit spreads: The role of political connection," Journal of Corporate Finance, Elsevier, vol. 84(C).
    2. Wang, He & Yao, Yang & Zhou, Yue, 2022. "Markets price politicians: Evidence from China’s municipal bond markets," Journal of Economics and Business, Elsevier, vol. 122(C).
    3. Oskar Kowalewski & Muhammad Farooq Ahmad & Saqib Aziz & Rwan El-Khatib, 2022. "Firm-Level Political Risk and Dividend Payout," Working Papers 2022-ACF-04, IESEG School of Management.
    4. Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Reneé van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Mathematics, MDPI, vol. 11(13), pages 1-27, July.
    5. Min Chen & Zhaobo Zhu & Peiwen Han & Bo Chen & Jia Liu, 2022. "Economic policy uncertainty and analyst behaviours: Evidence from the United Kingdom," Post-Print hal-03628930, HAL.
    6. Bhambhwani, Siddharth M., 2022. "Disruption and stock markets: Evidence from Hong Kong," International Review of Financial Analysis, Elsevier, vol. 81(C).
    7. Treepongkaruna, Sirimon & Chan, Kam Fong & Malik, Ihtisham, 2023. "Climate policy uncertainty and the cross-section of stock returns," Finance Research Letters, Elsevier, vol. 55(PA).
    8. Gong, Xu & Fu, Chengbo & Huang, Qiping & Lin, Meimei, 2022. "International political uncertainty and climate risk in the stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    9. Chen, Min & Zhu, Zhaobo & Han, Peiwen & Chen, Bo & Liu, Jia, 2022. "Economic policy uncertainty and analyst behaviours: Evidence from the United Kingdom," International Review of Financial Analysis, Elsevier, vol. 79(C).
    10. Rabeh Khalfaoui & Salma Mefteh-Wali & Jean-Laurent Viviani & Sami Ben Jabeur & Mohammad Zoynul Abedin & Brian Lucey, 2022. "How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?," Post-Print hal-03797937, HAL.
    11. Xiaolu Wei & Yubo Tian & Na Li & Huanxin Peng, 2024. "Evaluating ensemble learning techniques for stock index trend prediction: a case of China," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(3), pages 505-530, September.
    12. Xiaolu Wei & Hongbing Ouyang, 2023. "Forecasting Carbon Price Using Double Shrinkage Methods," IJERPH, MDPI, vol. 20(2), pages 1-20, January.
    13. Dang, Tung Lam & Luong, Hoang & Nguyen, Lily & Nguyen, My, 2024. "Political uncertainty and commonality in liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 83(C).
    14. Shan, Chenyu & Tang, Dragon Yongjun & Wang, Sarah Qian & Zhang, Chang, 2022. "The diversification benefits and policy risks of accessing China’s stock market," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 155-175.
    15. Simona Malovana & Dominika Ehrenbergerova & Zuzana Gric, 2023. "What Do Economists Think About the Green Transition? Exploring the Impact of Environmental Awareness," Working Papers 2023/6, Czech National Bank.
    16. Su, Xianfang & Guo, Dawei & Dai, Liang, 2023. "Do green bond and green stock markets boom and bust together? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 89(C).
    17. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza & Zhang, Hengbin, 2023. "The effect of equity market uncertainty on informational efficiency: Cross-sectional evidence," Global Finance Journal, Elsevier, vol. 57(C).
    18. Vo, Hong & Nguyen, Tien, 2023. "Foreign economic policy uncertainties and corporate investments: Insights from Hong Kong," Economics Letters, Elsevier, vol. 233(C).
    19. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    20. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
    21. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
    22. Chiang, Thomas C., 2022. "The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices," Resources Policy, Elsevier, vol. 76(C).
    23. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
    24. Han, Yingwei & Li, Jie, 2023. "The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
    25. Rahman, Dewan & Haque, Anamul & Kabir, Muhammad & Bin Hasan, Shehub, 2024. "Firm-level political risk and equity issuance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    26. Liow, Kim Hiang & Song, Jeongseop, 2020. "Dynamic interdependence of ASEAN5 with G5 stock markets," Emerging Markets Review, Elsevier, vol. 45(C).
    27. Mobeen Ur Rehman & Wafa Ghardallou & Nasir Ahmad & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Does effect of risk and uncertainties on US sectoral returns differ across different investment horizons and market conditions," Risk Management, Palgrave Macmillan, vol. 26(1), pages 1-49, February.
    28. Zhang, Maojun & Zhang, Rongjia & Zhao, Yang, 2024. "Economic policy uncertainty and volatility of corporate bond credit spread: Evidence from China and the United States," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 827-841.
    29. Gala, Vito D. & Pagliardi, Giovanni & Zenios, Stavros A., 2023. "Global political risk and international stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 78-102.
    30. Chrétien, Stéphane & Fu, Hsuan, 2023. "Presidential cycles in international equity flows and returns," Finance Research Letters, Elsevier, vol. 53(C).
    31. Zhaobo Zhu & Licheng Sun, 2024. "Economic policy uncertainty and short-term reversals," Post-Print hal-04691597, HAL.
    32. Cheng, Mengyao, 2022. "Legislative gridlock and stock return dispersion around roll-call votes," Journal of Banking & Finance, Elsevier, vol. 138(C).
    33. Lai, Fujun & Xiong, Deping & Zhu, Sha & Li, Yunzhong & Tan, Yanzhi, 2023. "Will geopolitical risks only inhibit corporate investment? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    34. Gyimah, Daniel & Danso, Albert & Adu-Ameyaw, Emmanuel & Boateng, Agyenim, 2022. "Firm-level political risk and corporate leverage decisions," International Review of Financial Analysis, Elsevier, vol. 84(C).
    35. Ömer Faruk TAN, 2023. "Is There Any Impact of the World Uncertainty Spillover Index (WUSI) on Firm Investment? Evidence from Turkey," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 97-108, June.
    36. Huang, Wenli & Li, Shi & Qi, Zhen & Zhang, Qi, 2022. "Macro disagreement and international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    37. Giulia Piccillo & Poramapa Poonpakdee, 2021. "Effects of Macro Uncertainty on Mean Expectation and Subjective Uncertainty: Evidence from Households and Professional Forecasters," CESifo Working Paper Series 9486, CESifo.
    38. Hemrit, Wael & Benlagha, Noureddine, 2021. "Does renewable energy index respond to the pandemic uncertainty?," Renewable Energy, Elsevier, vol. 177(C), pages 336-347.
    39. Lee A. Smales, 2022. "The influence of policy uncertainty on exchange rate forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 997-1016, August.
    40. Alam, Ahmed W. & Farjana, Ashupta & Houston, Reza, 2023. "Firm investment steering through state-level policy uncertainty," Finance Research Letters, Elsevier, vol. 58(PC).
    41. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).

  6. Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.

    Cited by:

    1. Jun Zhang, 2019. "Is options trading informed? Evidence from credit rating change announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1085-1106, September.
    2. Melissa Woodley & Peter DaDalt & John R. Wingender, 2020. "The price and volume response to earnings announcements in the corporate bond market," The Financial Review, Eastern Finance Association, vol. 55(4), pages 669-696, November.
    3. Kim, Junwoo & Kim, Robert & Kim, Sangwan, 2020. "Does financial statement comparability mitigate delayed trading volume before earnings announcements?," Journal of Business Research, Elsevier, vol. 107(C), pages 62-75.

  7. Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2019. "Price Discovery without Trading: Evidence from Limit Orders," Journal of Finance, American Finance Association, vol. 74(4), pages 1621-1658, August.

    Cited by:

    1. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
    2. Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
    3. Peter Cziraki & Evgeny Lyandres & Roni Michaely, 2019. "What Do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs," Swiss Finance Institute Research Paper Series 19-11, Swiss Finance Institute, revised Mar 2019.
    4. Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
    5. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    6. Shrestha, Keshab & Philip, Sheena & Peranginangin, Yessy, 2020. "Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process," American Business Review, Pompea College of Business, University of New Haven, vol. 23(2), pages 393-407, November.
    7. Aritra Pan & Arun Kumar Misra, 2022. "Assessment of Asymmetric Information Cost in Indian Stock Market: A Sectoral Approach," Global Business Review, International Management Institute, vol. 23(2), pages 512-535, April.
    8. Robert Garrison & Pankaj Jain & Mark Paddrik, 2019. "Cross-Asset Market Order Flow, Liquidity, and Price Discovery," Working Papers 19-04, Office of Financial Research, US Department of the Treasury.
    9. Timoth'ee Fabre & Vincent Ragel, 2023. "Interpretable ML for High-Frequency Execution," Papers 2307.04863, arXiv.org, revised Sep 2024.
    10. Jan Hanousek & Hoje Jo & Christos Pantzalis & Jung Chul Park, 2023. "A Dilemma of Self-interest vs. Ethical Responsibilities in Political Insider Trading," Journal of Business Ethics, Springer, vol. 187(1), pages 137-167, September.
    11. Kang, Jongho & Kang, Jangkoo & Kwon, Kyung Yoon, 2022. "Market versus limit orders of speculative high-frequency traders and price discovery," Research in International Business and Finance, Elsevier, vol. 63(C).
    12. Roberto Riccò & Barbara Rindi & Duane J. Seppi, 2020. "Information, Liquidity, and Dynamic Limit Order Markets," Working Papers 660, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    13. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    14. Stephen N. Jurich, 2020. "Size Precedence And Share Volume: The Case Of The Psx Exchange," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-28, December.
    15. Yamada, Masahiro & Ito, Takatoshi, 2022. "Price discovery and liquidity recovery: Forex market reactions to macro announcements," Journal of International Money and Finance, Elsevier, vol. 120(C).
    16. Han, SeungOh, 2024. "Price clustering on cryptocurrency order books at a US-based exchange," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    17. Stephanie Ligot & Roland Gillet & Iryna Veryzhenko, 2021. "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Post-Print hal-03621248, HAL.
    18. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    19. Alexandre Aidov & Olesya Lobanova, 2021. "Volatility and Depth in Commodity and FX Futures Markets," JRFM, MDPI, vol. 14(11), pages 1-16, November.
    20. Zhu, Hongyu & Yamamoto, Ryuichi, 2022. "Order submission, information asymmetry, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    21. Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
    22. Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
    23. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    24. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    25. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
    26. Bao Doan & Duc Hong Vo, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, CEPII research center, issue 167, pages 78-87.
    27. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2023. "Market conditions and order-type preference," International Review of Financial Analysis, Elsevier, vol. 87(C).
    28. Eleni Gousgounis & Esen Onur, 2024. "The end of an era: Who paid the price when the livestock futures pits closed?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(3), pages 1111-1140, May.
    29. Sudhanshu Pani, 2020. "A Theory of 'Auction as a Search' in speculative markets," Papers 2006.00775, arXiv.org.
    30. Patel, Vinay & Putniņš, Tālis J. & Michayluk, David & Foley, Sean, 2020. "Price discovery in stock and options markets," Journal of Financial Markets, Elsevier, vol. 47(C).
    31. Yuferova, Darya, 2024. "Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market," Journal of Financial Markets, Elsevier, vol. 69(C).
    32. Nawn, Samarpan & Banerjee, Ashok, 2019. "Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 109-125.
    33. Aldrich, Eric M & Friedman, Daniel, 2019. "Order Protection through Delayed Messaging," Santa Cruz Department of Economics, Working Paper Series qt4938f518, Department of Economics, UC Santa Cruz.
    34. Chaboud, Alain & Hjalmarsson, Erik & Zikes, Filip, 2021. "The evolution of price discovery in an electronic market," Journal of Banking & Finance, Elsevier, vol. 130(C).
    35. Ryan Garvey & Tao Huang & Fei Wu, 2021. "Is faster or slower trading better? An examination of order type execution speed and costs," European Financial Management, European Financial Management Association, vol. 27(2), pages 326-363, March.
    36. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    37. Chen, Yu-Lun & Xu, Ke, 2021. "The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets," Journal of Banking & Finance, Elsevier, vol. 127(C).
    38. Antonio Figueiredo & Pankaj Jain & Suchismita Mishra, 2023. "The role of fleeting orders on option expiration days," Quantitative Finance, Taylor & Francis Journals, vol. 23(10), pages 1511-1529, October.
    39. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    40. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    41. Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 25(3), pages 1156-1199, September.
    42. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    43. Ito, Katsuki & Iima, Hitoshi & Kitamura, Yoshihiro, 2022. "LSTM forecasting foreign exchange rates using limit order book," Finance Research Letters, Elsevier, vol. 47(PA).
    44. Thomas A. P. de Boer & Cornelis Gardebroek & Joost M. E. Pennings & Andres Trujillo‐Barrera, 2022. "Intraday liquidity in soybean complex futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1189-1211, July.
    45. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
    46. Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
    47. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    48. Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
    49. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo-Barrera & Lorenzo Moneta, 2021. "When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book," Papers 2109.04812, arXiv.org.
    50. Tripathi, Abhinava & Dixit, Alok & Vipul,, 2021. "Information content of order imbalance in an order-driven market: Indian Evidence," Finance Research Letters, Elsevier, vol. 41(C).
    51. Xiao, Xijuan & Yamamoto, Ryuichi, 2020. "Price discovery, order submission, and tick size during preopen period," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    52. Ryan Garvey & Yaohua Qin, 2022. "When does slower order execution occur? Evidence from U.S. equity investors," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 130-137, March.
    53. Raymond P. H. Fishe & Richard Haynes & Esen Onur, 2022. "Resiliency in the E‐mini futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 5-23, January.
    54. Panagiotis Anagnostidis & Patrice Fontaine & Christos Varsakelis, 2020. "Are high–frequency traders informed?," Post-Print hal-03062831, HAL.
    55. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    56. Luca Lalor & Anatoliy Swishchuk, 2024. "Market Simulation under Adverse Selection," Papers 2409.12721, arXiv.org.
    57. Robert Garrison & Pankaj K. Jain & Mark Paddrik, 2024. "Cross‐Asset Tandem Trading and Extraordinary Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1508-1542, September.
    58. Brolley, Michael & Malinova, Katya, 2021. "Informed liquidity provision in a limit order market," Journal of Financial Markets, Elsevier, vol. 52(C).
    59. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
    60. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    61. Liwei Jin & Xianghui Yuan & Shihao Wang & Peiran Li & Feng Lian, 2022. "Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2235-2247, December.
    62. Yamamoto, Ryuichi, 2020. "Limit order submission risks, order choice, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    63. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    64. Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021. "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, vol. 140(3), pages 916-940.
    65. Khairul Zharif Zaharudin & Martin R. Young & Wei‐Huei Hsu, 2022. "High‐frequency trading: Definition, implications, and controversies," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 75-107, February.
    66. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    67. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: evidence from Frankfurt-London microwave," LSE Research Online Documents on Economics 119989, London School of Economics and Political Science, LSE Library.
    68. Ranjan R. Chakravarty & Sudhanshu Pani, 2021. "A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 617-652, December.
    69. Bart Frijns & Ivan Indriawan & Alireza Tourani‐Rad, 2021. "Quote dynamics of cross‐listed stocks," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 497-522, June.
    70. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    71. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
    72. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    73. Box, Travis & Davis, Ryan & Evans, Richard & Lynch, Andrew, 2021. "Intraday arbitrage between ETFs and their underlying portfolios," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1078-1095.
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    75. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
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  8. Brogaard, Jonathan & Garriott, Corey, 2019. "High-Frequency Trading Competition," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1469-1497, August.
    See citations under working paper version above.
  9. Baron, Matthew & Brogaard, Jonathan & Hagströmer, Björn & Kirilenko, Andrei, 2019. "Risk and Return in High-Frequency Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 993-1024, June.

    Cited by:

    1. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
    2. Bastian von Beschwitz & Donald B Keim & Massimo Massa, 2020. "First to “Read” the News: News Analytics and Algorithmic Trading," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 122-178.
    3. Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
    4. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    5. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    6. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2024. "High-frequency trading in the stock market and the costs of options market making," LSE Research Online Documents on Economics 124228, London School of Economics and Political Science, LSE Library.
    7. Kang, Jongho & Kang, Jangkoo & Kwon, Kyung Yoon, 2022. "Market versus limit orders of speculative high-frequency traders and price discovery," Research in International Business and Finance, Elsevier, vol. 63(C).
    8. Aquilina, Matteo & Foley, Sean & O'Neill, Peter & Ruf, Thomas, 2024. "Sharks in the dark: Quantifying HFT dark pool latency arbitrage," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    9. Stephen N. Jurich, 2020. "Size Precedence And Share Volume: The Case Of The Psx Exchange," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-28, December.
    10. Jonathan Brogaard & Corey Garriott & Anna Pomeranets, 2014. "High-Frequency Trading Competition," Staff Working Papers 14-19, Bank of Canada.
    11. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
    12. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    13. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
    14. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    15. Kaihua Qin & Liyi Zhou & Yaroslav Afonin & Ludovico Lazzaretti & Arthur Gervais, 2021. "CeFi vs. DeFi -- Comparing Centralized to Decentralized Finance," Papers 2106.08157, arXiv.org, revised Jun 2021.
    16. Yan Peng & Jason Shachat & Lijia Wei & S. Sarah Zhang, 2024. "Speed traps: algorithmic trader performance under alternative market balances and structures," Experimental Economics, Springer;Economic Science Association, vol. 27(2), pages 325-350, April.
    17. Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
    18. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
    19. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
    20. Brolley, Michael & Zoican, Marius, 2023. "Liquid speed: A micro-burst fee for low-latency exchanges," Journal of Financial Markets, Elsevier, vol. 64(C).
    21. Paul Bilokon & Burak Gunduz, 2023. "C++ Design Patterns for Low-latency Applications Including High-frequency Trading," Papers 2309.04259, arXiv.org.
    22. Matteo Aquilina & Sean Foley & Peter O'Neill & Matteo Thomas Ruf, 2023. "Sharks in the dark: quantifying HFT dark pool latency arbitrage," BIS Working Papers 1115, Bank for International Settlements.
    23. Khapko, Mariana & Zoican, Marius, 2021. "Do speed bumps curb low-latency investment? Evidence from a laboratory market," Journal of Financial Markets, Elsevier, vol. 55(C).
    24. Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," TSE Working Papers 13-387, Toulouse School of Economics (TSE), revised Sep 2014.
    25. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    26. Yamada, Masahiro, 2022. "Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?," Finance Research Letters, Elsevier, vol. 46(PA).
    27. Horst Treiblmaier, 2022. "Do cryptocurrencies really have (no) intrinsic value?," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(3), pages 1749-1758, September.
    28. Thiago W. Alves & Ionuţ Florescu & Dragoş Bozdog, 2023. "Insights on the Statistics and Market Behavior of Frequent Batch Auctions," Mathematics, MDPI, vol. 11(5), pages 1-26, March.
    29. Hoffmann, Peter & Jank, Stephan, 2024. "What is the value of retail order flow?," Discussion Papers 33/2024, Deutsche Bundesbank.
    30. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.
    31. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    32. Viktor Manahov, 2024. "The rapid growth of cryptocurrencies: How profitable is trading in digital money?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2214-2229, April.
    33. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.
    34. Ge, Hengshun & Yang, Haijun & Doukas, John A., 2024. "The optimal strategies of competitive high-frequency traders and effects on market liquidity," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 653-679.
    35. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    36. Luyao Zhang & Fan Zhang, 2023. "Understand Waiting Time in Transaction Fee Mechanism: An Interdisciplinary Perspective," Papers 2305.02552, arXiv.org.
    37. Glebkin, Sergei & Kuong, John Chi-Fong, 2023. "When large traders create noise," Journal of Financial Economics, Elsevier, vol. 150(2).
    38. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    39. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: evidence from Frankfurt-London microwave," LSE Research Online Documents on Economics 119989, London School of Economics and Political Science, LSE Library.
    40. Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
    41. Baldauf, Markus & Mollner, Joshua, 2022. "Fast traders make a quick buck: The role of speed in liquidity provision," Journal of Financial Markets, Elsevier, vol. 58(C).
    42. Viktoria Dalko & Michael H. Wang, 2020. "High-frequency trading: Order-based innovation or manipulation?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 289-298, December.
    43. Chengyu Li & Luyi Shen & Guoqi Qian, 2023. "Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in the Chinese Market," Econometrics, MDPI, vol. 11(2), pages 1-19, May.
    44. Rajiv Sethi & Julie Seager & Emily Cai & Daniel M. Benjamin & Fred Morstatter, 2021. "Models, Markets, and the Forecasting of Elections," Papers 2102.04936, arXiv.org, revised May 2021.
    45. Rama Cont & Arseniy Kukanov, 2017. "Optimal order placement in limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 21-39, January.
    46. Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
    47. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
    48. Bidisha Chakrabarty & Pankaj K. Jain & Andriy Shkilko & Konstantin Sokolov, 2021. "Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5," Management Science, INFORMS, vol. 67(2), pages 1183-1198, February.
    49. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    50. Ekinci, Cumhur & Ersan, Oğuz, 2022. "High-frequency trading and market quality: The case of a “slightly exposed” market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    51. Arumugam, Devika & Krishna Prasanna, P., 2021. "Commonality and contrarian trading among algorithmic traders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    52. Aït-Sahalia, Yacine & Sağlam, Mehmet, 2024. "High frequency market making: The role of speed," Journal of Econometrics, Elsevier, vol. 239(2).

  10. Jonathan Brogaard & Matthew C Ringgenberg & David Sovich, 2019. "The Economic Impact of Index Investing," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3461-3499.

    Cited by:

    1. Kang, Wenjin & Tang, Ke & Wang, Ningli, 2023. "Financialization of commodity markets ten years later," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Ferracuti, Elia, 2022. "Information uncertainty and organizational design," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    3. Nguyen, Quynh Nga & Aboura, Sofiane & Chevallier, Julien & Zhang, Lyuyuan & Zhu, Bangzhu, 2020. "Local Gaussian correlations in financial and commodity markets," European Journal of Operational Research, Elsevier, vol. 285(1), pages 306-323.
    4. Biguri, Kizkitza & Brownlees, Christian & Ippolito, Filippo, 2022. "Corporate hedging and the variance of stock returns," Journal of Corporate Finance, Elsevier, vol. 72(C).
    5. Celso Brunetti & Jeffrey H. Harris & Bahattin Büyükşahin, 2024. "Crude Oil Price Movements and Institutional Traders," Commodities, MDPI, vol. 3(1), pages 1-23, February.
    6. Chinco, Alex & Sammon, Marco, 2024. "The passive ownership share is double what you think it is," Journal of Financial Economics, Elsevier, vol. 157(C).
    7. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
    8. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    9. Itay Goldstein, 2023. "Information in Financial Markets and Its Real Effects," Review of Finance, European Finance Association, vol. 27(1), pages 1-32.
    10. Ahmed S. Baig & Benjamin M. Blau & R. Jared DeLisle, 2022. "Does mutual fund ownership reduce stock price clustering? Evidence from active and index funds," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 615-647, February.
    11. Sun-Feel Yang & So-Won Choi & Eul-Bum Lee, 2023. "A Prediction Model for Spot LNG Prices Based on Machine Learning Algorithms to Reduce Fluctuation Risks in Purchasing Prices," Energies, MDPI, vol. 16(11), pages 1-39, May.
    12. Jin, Ling & Li, Zhisheng & Lu, Lei & Ni, Xiaoran, 2023. "Does stock market rescue affect investment efficiency in the real sector?," Journal of Financial Markets, Elsevier, vol. 65(C).
    13. Smimou, K. & Bosch, D. & Filbeck, G., 2024. "Commodities and Policy Uncertainty Channel(s)," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 351-379.
    14. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
    15. Gunratan Lonare & Ahmet Nart & Ahmet M. Tuncez, 2022. "Industry tournament incentives and corporate hedging policies," Financial Management, Financial Management Association International, vol. 51(2), pages 399-453, June.
    16. Lauter, Tobias & Prokopczuk, Marcel, 2022. "Measuring commodity market quality," Journal of Banking & Finance, Elsevier, vol. 145(C).

  11. Kathryn L. Dewenter & Alan C. Hess & Jonathan Brogaard, 2018. "Institutions and Deposit Insurance: Empirical Evidence," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 269-292, December.

    Cited by:

    1. Matteo, Gatti & Tommaso, Oliviero, 2019. "Deposit Insurance and Banks’ Deposit Rates: Evidence from the 2009 EU Policy Change," Working Papers 419, University of Milano-Bicocca, Department of Economics, revised 19 Aug 2019.
    2. Magdalena Kozińska, 2022. "The non‐payout functions of deposit insurance schemes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1749-1768, April.
    3. Matteo Gatti & Tommaso Oliviero, 2021. "Deposit Insurance and Banks' Deposit Rates: Evidence from the 2009 EU Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 17(2), pages 171-206, June.
    4. Hui Shan Lee & Shyue Chuan Chong & Shen Yap & Bik Kai Sia & Ying Xi Chen, 2021. "Does Economic Freedom in Host Countries Lead to Increased Non-Life Insurance Development?," SAGE Open, , vol. 11(4), pages 21582440211, October.
    5. Delis, Manthos D. & Iosifidi, Maria & Papadopoulos, Panagiotis, 2022. "Blessing or curse? Government funding of deposit insurance and corporate lending," Journal of Financial Stability, Elsevier, vol. 61(C).
    6. Deniz Anginer & Ata Can Bertay, 2019. "Deposit Insurance," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 17(01), pages 03-08, May.
    7. Chen, Qian & Shen, Chuang, 2023. "Deposit insurance system, risk-adjusted premium and bank systemic risk: Evidence from China," Research in International Business and Finance, Elsevier, vol. 65(C).
    8. Douglas da Rosa München & Herbert Kimura, 2020. "Regulatory Banking Leverage: what do you know?," Working Papers Series 540, Central Bank of Brazil, Research Department.

  12. Brogaard, Jonathan & Carrion, Allen & Moyaert, Thibaut & Riordan, Ryan & Shkilko, Andriy & Sokolov, Konstantin, 2018. "High frequency trading and extreme price movements," Journal of Financial Economics, Elsevier, vol. 128(2), pages 253-265.
    See citations under working paper version above.
  13. Jonathan Brogaard & Joseph Engelberg & Edward Van Wesep, 2018. "Do Economists Swing for the Fences after Tenure?," Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 179-194, Winter.

    Cited by:

    1. Muhammad Asali, 2019. "A Tale of Two Tracks," Working Papers 004-19 JEL Codes: J21, J1, International School of Economics at TSU, Tbilisi, Republic of Georgia.
    2. Stremersch, S. & Winer, R.S., 2018. "Academic Research in Marketing and Business School Health," ERIM Report Series Research in Management 116485, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    3. van Dalen, Hendrik Peter, 2021. "How the publish-or-perish principle divides a science: The case of economists," Other publications TiSEM a6a5a855-bb5a-4d52-a841-3, Tilburg University, School of Economics and Management.
    4. van Dalen, Hendrik Peter, 2020. "How the Publish-or-Perish Principle Divides a Science : The Case of Academic Economists," Other publications TiSEM 6fbb6b92-0e06-4271-b6e7-3, Tilburg University, School of Economics and Management.
    5. Corsi, Marcella & D’Ippoliti, Carlo & Zacchia, Giulia, 2019. "Diversity of backgrounds and ideas: The case of research evaluation in economics," Research Policy, Elsevier, vol. 48(9), pages 1-1.
    6. Franklin G. Mixon & Kamal P. Upadhyaya, 2024. "When forgiveness beats permission: Exploring the scholarly ethos of clinical faculty in economics," American Journal of Economics and Sociology, Wiley Blackwell, vol. 83(1), pages 75-91, January.
    7. Jon A. Garfinkel & Mosab Hammoudeh & James Weston, 2024. "Academic publishing behavior and pay across business fields," Financial Management, Financial Management Association International, vol. 53(1), pages 31-58, March.
    8. Stremersch, S. & Winer, R.S. & Camacho, N.M.A., 2020. "Faculty Research Incentives and Business School Health: A New Perspective for Marketing," ERIM Report Series Research in Management ERS-2020-007-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    9. João Ricardo Faria & Franklin G. Mixon, 2020. "The Peter and Dilbert Principles applied to academe," Economics of Governance, Springer, vol. 21(2), pages 115-132, June.
    10. Hendrik P. Dalen, 2021. "How the publish-or-perish principle divides a science: the case of economists," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(2), pages 1675-1694, February.
    11. Mila Getmansky Sherman & Heather E. Tookes, 2022. "Female Representation in the Academic Finance Profession," Journal of Finance, American Finance Association, vol. 77(1), pages 317-365, February.
    12. Stremersch, S. & Winer, R.S., 2018. "Academic Research in Marketing and Business School Health: Limiters and Improvement Opportunities," ERIM Report Series Research in Management ERS-2019-007-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    13. Franklin G. Mixon, 2018. "Do academics swing for the fences after tenure? Analysis of attributions data from economics research," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 2155-2160, September.
    14. Jean Luc De Meulemeester, 2020. "De quelques préconditions à la liberté académique," Working Papers CEB 20-013, ULB -- Universite Libre de Bruxelles.
    15. Kyle R. Myers & Wei Yang Tham & Jerry Thursby & Marie Thursby & Nina Cohodes & Karim Lakhani & Rachel Mural & Yilun Xu, 2023. "New Facts and Data about Professors and their Research," Papers 2312.01442, arXiv.org.
    16. Asali, Muhammad, 2018. "A Tale of Two Academic Tracks," IZA Discussion Papers 11423, Institute of Labor Economics (IZA).
    17. Jun Zhang & Xiaoyan Su & Yifei Wang, 2024. "A Qualitative Study on the Relationship between Faculty Mobility and Scientific Impact: Toward the Sustainable Development of Higher Education," Sustainability, MDPI, vol. 16(17), pages 1-18, September.
    18. Jenny Bourne & Nathan Grawe & Nathan D. Grawe & Michael Hemesath & Maya Jensen, 2022. "Scholarly Activity among Economists at Liberal Arts Colleges: A Life Cycle Analysis," Working Papers 2022-01, Carleton College, Department of Economics.
    19. Rajeev K. Goel & Devrim Göktepe-Hultén, 2020. "Drivers of innovation productivity of academic researchers through career advancement," The Journal of Technology Transfer, Springer, vol. 45(2), pages 414-429, April.

  14. Brogaard, Jonathan & Li, Dan & Xia, Ying, 2017. "Stock liquidity and default risk," Journal of Financial Economics, Elsevier, vol. 124(3), pages 486-502.

    Cited by:

    1. Zhang, Cheng & Ho, Kung-Cheng & Yan, Cheng & Gong, Yujing, 2023. "Societal trust and firm-level trust: Substitute or complement? An international evidence," International Review of Financial Analysis, Elsevier, vol. 86(C).
    2. Buchanan, Bonnie & Kaya, Caglar, 2024. "Foundation ownership and creditor governance: Evidence from publicly listed companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    3. Xue, Shuyu & Wu, Huilin & Ling, Yishu & Lu, Ye, 2024. "Mandatory CSR disclosure and stock liquidity: Evidence from Chinese listed firms," Finance Research Letters, Elsevier, vol. 59(C).
    4. Denny IRAWAN & OKIMOTO Tatsuyoshi, 2021. "Conditional Capital Surplus and Shortfall across Resource Firms," Discussion papers 21031, Research Institute of Economy, Trade and Industry (RIETI).
    5. Gniadkowska-Szymańska Agata, 2017. "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 136-148, December.
    6. Shiyan Yin & Kai Yao & Thanaset Chevapatrakul & Rong Huang, 2024. "Reduced disclosure and default risk: analysis of smaller reporting companies," Review of Quantitative Finance and Accounting, Springer, vol. 63(1), pages 355-395, July.
    7. Feng, Xiaoli & Li, Wenjing & Peng, Yuanhuai & Tan, Youchao, 2021. "International trade friction and the cost of debt: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    8. Abinzano, Isabel & Gonzalez-Urteaga, Ana & Muga, Luis & Sanchez, Santiago, 2020. "Performance of default-risk measures: the sample matters," Journal of Banking & Finance, Elsevier, vol. 120(C).
    9. Lu, Zheng & Liang, Yanzi & Hu, Yanglin & Liu, Yang, 2024. "Is managerial myopia detrimental to corporate ESG performance?," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 998-1015.
    10. Jin, Long & Song, Yuhang & Pan, Changchun, 2024. "Does peer firms' debt default have positive externalities: The investment efficiency perspective," Finance Research Letters, Elsevier, vol. 59(C).
    11. Huang, Sheng & Maharjan, Johan & Nanda, Vikram, 2024. "Liquid stock as an acquisition currency," Journal of Corporate Finance, Elsevier, vol. 85(C).
    12. Ho, Kung-Cheng & Yen, Huang-Ping & Lu, Canyi & Lee, Shih-Cheng, 2023. "Does information disclosure and transparency ranking system prevent the default risk of a firm?," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1089-1105.
    13. Gatot Soepriyanto & Engkos Achmad Kuncoro & Arfian Erma Zudana & Livia Averine, 2022. "Does Executive Compensation Affect Accounting Irregularities? Evidence From Listed Firms in Indonesia," SAGE Open, , vol. 12(3), pages 21582440221, July.
    14. Agata Gniadkowska-Szymańska, 2022. "The liquidity of shares and the risk of bankruptcy," Bank i Kredyt, Narodowy Bank Polski, vol. 53(6), pages 565-586.
    15. Gong, Di & Jiang, Tao & Li, Zhao & Wu, Weixing, 2022. "Optimal loan contracting under policy uncertainty: Theory and international evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    16. Qin Zhang & Jin Boon Wong, 2023. "The influence of oil price uncertainty on stock liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 141-167, February.
    17. Shih, Yi-Cheng & Wang, Yao & Zhong, Rui & Ma, Yi-Ming, 2021. "Corporate environmental responsibility and default risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    18. Ammad Ahmed & Muhammad Atif & Ernest Gyapong, 2021. "Boardroom gender diversity and CEO pay deviation: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3135-3170, June.
    19. Vincent Tawiah & Abdulrasheed Zakari & Yan Wang, 2022. "Partisan political connections, ethnic tribalism, and firm performance," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1331-1362, May.
    20. Rao, Lanlan & Zhou, Liyun, 2019. "Crash risk, institutional investors and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    21. Pham, Mia Hang, 2020. "In law we trust: Lawyer CEOs and stock liquidity," Journal of Financial Markets, Elsevier, vol. 50(C).
    22. Chen, Zhenzhu & Li, Li & Tang, Yao, 2023. "Weather, Credit, and Economic Fluctuations: Evidence from China," MPRA Paper 116472, University Library of Munich, Germany.
    23. Muhammad Atif & Searat Ali, 2021. "Environmental, social and governance disclosure and default risk," Business Strategy and the Environment, Wiley Blackwell, vol. 30(8), pages 3937-3959, December.
    24. Farooque, Omar Al & Baghdadi, Ghasan & Trinh, Hai Hong & Khandaker, Sarod, 2023. "Stock liquidity during COVID-19 crisis: A cross-country analysis of developed and emerging economies, and economic policy uncertainty," Emerging Markets Review, Elsevier, vol. 55(C).
    25. Wang, Xiaoqiong & Wei, Siqi, 2021. "Does the investment horizon of institutional investors matter for stock liquidity?," International Review of Financial Analysis, Elsevier, vol. 74(C).
    26. Armanious, Amir & Zhao, Ruoyun, 2024. "Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 92(C).
    27. Lai, Xiaobing & Yue, Shujing & Guo, Chong & Zhang, Xinhe, 2023. "Does FinTech reduce corporate excess leverage? Evidence from China," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 281-299.
    28. Eaton, Gregory W. & Irvine, Paul J. & Liu, Tingting, 2021. "Measuring institutional trading costs and the implications for finance research: The case of tick size reductions," Journal of Financial Economics, Elsevier, vol. 139(3), pages 832-851.
    29. Habibi Khalaj, Ali & Halgamuge, Saman K., 2017. "A Review on efficient thermal management of air- and liquid-cooled data centers: From chip to the cooling system," Applied Energy, Elsevier, vol. 205(C), pages 1165-1188.
    30. Yunsen Chen & Jianqiao Huang & Xiao Li & Qingbo Yuan, 2022. "Does stock market liberalization improve stock price efficiency? Evidence from China," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1175-1210, July.
    31. Mirza, Nawazish & Rahat, Birjees & Naqvi, Bushra & Rizvi, Syed Kumail Abbas, 2023. "Impact of Covid-19 on corporate solvency and possible policy responses in the EU," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 181-190.
    32. Shang, Chenguang, 2020. "Trade credit and stock liquidity," Journal of Corporate Finance, Elsevier, vol. 62(C).
    33. Nguyen, Duc Nguyen & Nguyen, Canh Phuc & Dang, Le Phuong Xuan, 2022. "Uncertainty and corporate default risk: Novel evidence from emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    34. Ashrafee Hossain & Samir Saadi & Abu S. Amin, 2023. "Does CEO Risk-Aversion Affect Carbon Emission?," Journal of Business Ethics, Springer, vol. 182(4), pages 1171-1198, February.
    35. Meskat Ibne Sharif, 2023. "Parametric test of liquidity wavering in response to the dynamic equity constituents," SN Business & Economics, Springer, vol. 3(1), pages 1-26, January.
    36. Ahmed, Shamim & Judge, Amrit & Mahmud, Syed Ehsan, 2018. "Does derivatives use reduce the cost of equity?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 1-16.
    37. Irawan, Denny & Okimoto, Tatsuyoshi, 2022. "Conditional capital surplus and shortfall across renewable and non-renewable resource firms," Energy Economics, Elsevier, vol. 112(C).
    38. Chen, Chuanglian & Zhou, Lichao & Sun, Chuanwang & Lin, Yuting, 2024. "Does oil future increase the network systemic risk of financial institutions in China?," Applied Energy, Elsevier, vol. 364(C).
    39. Nguyen, Hung T. & Pham, Mia Hang & Truong, Cameron, 2023. "Leadership in a pandemic: Do more able managers keep firms out of trouble?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    40. Lin, Xin-Yi & Liu, Jing-Yue & Zhang, Yue-Jun, 2024. "Does corporate social responsibility affect stock liquidity? Evidence from China," Finance Research Letters, Elsevier, vol. 60(C).
    41. Fu, Yumei & He, Feng & Li, Jintian & Zan, Bingyan, 2024. "Commonality in liquidity and corporate default risk - Evidence from China," Research in International Business and Finance, Elsevier, vol. 69(C).
    42. Ee, Mong Shan & Hasan, Iftekhar & Huang, He, 2022. "Stock liquidity and corporate labor investment," Journal of Corporate Finance, Elsevier, vol. 72(C).
    43. Hyun Joong Im & Barry Oliver & Heungju Park, 2022. "The effect of stock liquidity on corporate cash holdings: The real investment motive," International Review of Finance, International Review of Finance Ltd., vol. 22(3), pages 580-596, September.
    44. Chowdhury, Hasibul & Rahman, Shofiqur, 2023. "Do tournament incentives affect corporate dividend policy?," Journal of Banking & Finance, Elsevier, vol. 152(C).
    45. Zhitao, Wang & Xiang, Ma, 2023. "Financial mismatch on corporate debt default risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    46. Nie, Zi & Ling, Xuan & Chen, Meian, 2023. "The power of technology: FinTech and corporate debt default risk in China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    47. Wu, Anshun & Dong, Yang & Luo, Yuhui & Zeng, Chunhua, 2020. "Fluctuations-induced regime shifts in the Endogenous Credit system with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
    48. Haoyi Yang & Shikong Luo, 2023. "A dark side to options trading? Evidence from corporate default risk," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 531-564, February.
    49. Alessandro Zattoni & Emmanouil Dedoulis & Stergios Leventis & Hans Van Ees, 2020. "Corporate governance and institutions—A review and research agenda," Corporate Governance: An International Review, Wiley Blackwell, vol. 28(6), pages 465-487, November.
    50. Nguyen, Justin Hung & Qiu, Buhui, 2022. "Right-to-Work laws and corporate innovation," Journal of Corporate Finance, Elsevier, vol. 76(C).
    51. Chen, Jiayuan & Gong, Di & Muckley, Cal, 2020. "Stock market illiquidity, bargaining power and the cost of borrowing," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 181-206.
    52. Buhui Qiu & Gary Gang Tian & Haijian Zeng, 2022. "How Does Deleveraging Affect Funding Market Liquidity?," Management Science, INFORMS, vol. 68(6), pages 4568-4601, June.
    53. Yezhou Sha & Ziwen Bu & Zilong Wang, 2023. "What drives the distress risk–return puzzle? A perspective on limits of arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3574-3592, October.
    54. Wei Zhang & Yi Li, 2023. "Liquidity risk and expected cryptocurrency returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 472-492, January.
    55. Nguyen, Harvey & Pham, Anh Viet & Pham, Man Duy (Marty) & Pham, Mia Hang, 2023. "Business resilience: Lessons from government responses to the global COVID-19 crisis," International Business Review, Elsevier, vol. 32(5).
    56. Tianlun Fei & Xiaoquan Liu & Conghua Wen, 2023. "Forecasting stock return volatility: Realized volatility‐type or duration‐based estimators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1594-1621, November.
    57. Islam, Md Shahidul & Alam, Md Samsul & Bin Hasan, Shehub & Mollah, Sabur, 2022. "Firm-level political risk and distance-to-default," Journal of Financial Stability, Elsevier, vol. 63(C).
    58. (DJ) Fairhurst, Douglas & Liu, Yanguang & Ni, Xiaoran, 2020. "Employment protection and tax aggressiveness: Evidence from wrongful discharge laws," Journal of Banking & Finance, Elsevier, vol. 119(C).
    59. Do, Trung K. & Huang, Henry Hongren & Le, Anh-Tuan, 2023. "Customer concentration and stock liquidity," Journal of Banking & Finance, Elsevier, vol. 154(C).
    60. Shen, Haomin & Cheng, Xiaoke & Ouyang, Caiyue & Li, Ya & Chan, Kam C., 2022. "Does share pledging affect firms' use of derivatives? Evidence from China," Emerging Markets Review, Elsevier, vol. 50(C).
    61. Goodhart, Charles A.E. & Tsomocos, Dimitrios P. & Wang, Xuan, 2023. "Bank credit, inflation, and default risks over an infinite horizon," LSE Research Online Documents on Economics 119771, London School of Economics and Political Science, LSE Library.
    62. Geng, Huixia & Zhu, Hongbing & Lau, Wei Theng & Razak, Nazrul Hisyam Ab & Nor, Normaziah Mohd, 2024. "Exacerbate or alleviate? Impact of controlling shareholders' share pledging on over-investment," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    63. Wang, Jinbo & Ran, Maosheng & Huang, Qing & Li, Wanli, 2022. "Nationalization of private enterprises and default risk: Evidence from mixed-ownership reform in China," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 534-553.
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    65. Pham, Thu Phuong & Singh, Harminder & Vu, Van Hoang, 2023. "The impact of bank loan announcements on stock liquidity," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 848-864.
    66. Luo, Deming & Yao, Zhongwei & Zhu, Yanjian, 2022. "Bubble-crash experience and investment styles of mutual fund managers," Journal of Corporate Finance, Elsevier, vol. 76(C).
    67. Ni, Xiaoran & Xu, Hongmei, 2023. "Are short selling threats beneficial to creditors? Insights from corporate default risk," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    68. Roy, Suvra & Nguyen, Harvey & Visaltanachoti, Nuttawat, 2023. "Be nice to the air: Severe haze pollution and mutual fund risk," Global Finance Journal, Elsevier, vol. 58(C).
    69. Deni Irawan & Tatsuyoshi Okimoto, 2021. "Conditional Capital Surplus and Shortfall across Renewable and Non-Renewable Resource Firms," LPEM FEBUI Working Papers 202165, LPEM, Faculty of Economics and Business, University of Indonesia, revised 2021.
    70. Michael, Michael & Ali, Muhammad Jahangir & Atawnah, Nader & Muniandy, Balachandran, 2022. "Fiduciary or loyalty? Evidence from top management counsel and stock liquidity," Global Finance Journal, Elsevier, vol. 52(C).
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    72. Boussetta, Selma, 2022. "Stock exchange governance and stock liquidity: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
    73. Dayani, Arash, 2022. "CEO inside debt and mutual fund investment decisions," Journal of Banking & Finance, Elsevier, vol. 145(C).
    74. Kabir, Md Nurul & Miah, Mohammad Dulal & Ali, Searat & Sharma, Parmendra, 2020. "Institutional and foreign ownership vis-à-vis default risk: Evidence from Japanese firms," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 469-493.
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    1. Yang, Haijun & Xue, Feng, 2021. "Analysis of stock market volatility: Adjusted VPIN with high-frequency data," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 210-222.
    2. Kang, Jongho & Kang, Jangkoo & Kwon, Kyung Yoon, 2022. "Market versus limit orders of speculative high-frequency traders and price discovery," Research in International Business and Finance, Elsevier, vol. 63(C).
    3. Qixuan Luo & Yu Shi & Xuan Zhou & Handong Li, 2021. "Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1025-1049, December.
    4. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2022. "Retail trader sophistication and stock market quality: Evidence from brokerage outages," Journal of Financial Economics, Elsevier, vol. 146(2), pages 502-528.
    5. Xiaoman, Jin & Qing, Li & Jun, Wang & Jingmei, Zhao, 2023. "Voice or noise? Repetitive information and stock performance," Finance Research Letters, Elsevier, vol. 52(C).
    6. Jing Nie & Juliana Malagon & Julian Williams, 2022. "The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1434-1465, August.
    7. Luong, Phat V. & Sopranzetti, Ben, 2022. "Commodity markets intervention: Consequences of speculation, and informed trading," Journal of Commodity Markets, Elsevier, vol. 26(C).
    8. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    9. Peter N Dixon, 2021. "Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency? [The market for ‘lemons’: Quality uncertainty and the market mechanism]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(1), pages 122-168.
    10. Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
    11. Rif, Alexandru & Utz, Sebastian, 2021. "Short-term stock price reversals after extreme downward price movements," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 123-133.
    12. Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017. "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series 580, Center for Financial Studies (CFS).
    13. Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 25(3), pages 1156-1199, September.
    14. Chakrabarty, Bidisha & Moulton, Pamela C. & Pascual, Roberto, 2017. "Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 74-90.
    15. Ravi Kashyap, 2019. "Imitation in the Imitation Game," Papers 1911.06893, arXiv.org.
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    17. Yang, Haijun & Ge, Hengshun & Luo, Ying, 2020. "The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity," Research in International Business and Finance, Elsevier, vol. 53(C).
    18. Chen, Kejing & Jiang, Lin & Kang, Yanling & Yang, Mo & Zhen, Jiahua, 2024. "Blockholder exit threats and excess executive perks," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 80-97.
    19. Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.
    20. Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
    21. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    22. Seungho Lee, 2022. "The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 156-171, March.
    23. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    24. Ekinci, Cumhur & Ersan, Oğuz, 2022. "High-frequency trading and market quality: The case of a “slightly exposed” market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    25. Arumugam, Devika & Krishna Prasanna, P., 2021. "Commonality and contrarian trading among algorithmic traders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    26. John Coughlan & Alexei G. Orlov, 2023. "High‐frequency trading and market quality: Evidence from account‐level futures data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1126-1160, August.

  16. Jonathan Brogaard & Andrew Detzel, 2015. "The Asset-Pricing Implications of Government Economic Policy Uncertainty," Management Science, INFORMS, vol. 61(1), pages 3-18, January.

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    1. Duca, John V. & Saving, Jason L., 2018. "What drives economic policy uncertainty in the long and short runs: European and U.S. evidence over several decades," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 128-145.
    2. Zhu, Zhaobo & Lin, Hang & Chen, Min & Han, Peiwen, 2023. "The spillover effect of economic policy uncertainty: Evidence from analyst behaviors in Hong Kong," Finance Research Letters, Elsevier, vol. 52(C).
    3. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Andreas A. Papandreou, 2019. "Stranded assets and the financial system," Working Papers 272, Bank of Greece.
    5. Amélie Charles & Olivier Darné & Jae H. Kim, 2022. "Stock return predictability: Evaluation based on interval forecasts," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 363-385, April.
    6. Refk Selmi & Jamal Bouoiyour, 2020. "The financial costs of political uncertainty: Evidence from the 2016 US presidential elections," Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(2), pages 166-185, May.
    7. Doriana Cucinelli & Vincenzo Farina & Paola Schwizer & Maria Gaia Soana, 2021. "Better the Devil You Know: The Impact of Brexit Political Uncertainty on European Financial Markets," International Journal of Business and Management, Canadian Center of Science and Education, vol. 15(6), pages 1-62, July.
    8. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
    9. Deshuai Hou & Luhan Shi & Hong He & Jian Xiong, 2023. "Research on the Deviation of Corporate Green Behaviour under Economic Policy Uncertainty Based on the Perspective of Green Technology Innovation in Chinese Listed Companies," Sustainability, MDPI, vol. 15(9), pages 1-27, May.
    10. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).
    11. Zhao, Yan & Su, Kun, 2022. "Economic policy uncertainty and corporate financialization: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 82(C).
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    20. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
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    22. Mohsen Bahmani-Oskooee & Majid Maki-Nayeri, 2019. "Asymmetric Effects of Policy Uncertainty on Domestic Investment in G7 Countries," Open Economies Review, Springer, vol. 30(4), pages 675-693, September.
    23. Anindya Sen & Dennis Wesselbaum, 2023. "On the International Spillover Effects of Uncertainty," Open Economies Review, Springer, vol. 34(3), pages 541-554, July.
    24. Feng, Yun & Hou, Weijie & Song, Yuping, 2023. "Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters," Economic Modelling, Elsevier, vol. 119(C).
    25. Li, Xiao-Ming, 2017. "New evidence on economic policy uncertainty and equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 41-56.
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    27. Muhammad Asif Khan & Masood Ahmed & József Popp & Judit Oláh, 2020. "US Policy Uncertainty and Stock Market Nexus Revisited through Dynamic ARDL Simulation and Threshold Modelling," Mathematics, MDPI, vol. 8(11), pages 1-20, November.
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    41. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
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    43. Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark Wohar, 2015. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201599, University of Pretoria, Department of Economics.
    44. Dai, Zhifeng & Peng, Yongxin, 2022. "Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    45. Drobetz, Wolfgang & El Ghoul, Sadok & Guedhami, Omrane & Janzen, Malte, 2018. "Policy uncertainty, investment, and the cost of capital," Journal of Financial Stability, Elsevier, vol. 39(C), pages 28-45.
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    74. Sagade, Satchit & Scharnowski, Stefan & Theissen, Erik & Westheide, Christian, 2024. "A tale of two cities: Inter-market latency and fast-trader competition," SAFE Working Paper Series 430, Leibniz Institute for Financial Research SAFE.
    75. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    76. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
    77. Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
    78. Alex Frino & Michael Garcia & Zeyang Zhou, 2020. "Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 749-760, May.
    79. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
    80. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
    81. Bidisha Chakrabarty & Pankaj K. Jain & Andriy Shkilko & Konstantin Sokolov, 2021. "Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5," Management Science, INFORMS, vol. 67(2), pages 1183-1198, February.
    82. Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
    83. Frino, Alex & Mollica, Vito & Monaco, Eleonora & Palumbo, Riccardo, 2017. "The effect of algorithmic trading on market liquidity: Evidence around earnings announcements on Borsa Italiana," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 82-90.
    84. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    85. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    86. Aquilina, Matteo & Budish, Eric B. & O'Neill, Peter, 2020. "Quantifying the High-Frequency Trading "Arms Race": A Simple New Methodology and Estimates," Working Papers 300, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    87. Tomy Lee, 2019. "Latency in Fragmented Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
    88. Alex Frino & Dionigi Gerace & Masud Behnia, 2021. "The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1301-1314, August.
    89. Aït-Sahalia, Yacine & Sağlam, Mehmet, 2024. "High frequency market making: The role of speed," Journal of Econometrics, Elsevier, vol. 239(2).
    90. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).

  18. Michael Goldstein & Jonathan Brogaard & Terrence Hendershott & Stefan Hunt & Carla Ysusi, 2014. "High-Frequency Trading and the Execution Costs of Institutional Investors," The Financial Review, Eastern Finance Association, vol. 49(2), pages 345-369, May.

    Cited by:

    1. O'Hara, Maureen & Alex Zhou, Xing, 2021. "The electronic evolution of corporate bond dealers," Journal of Financial Economics, Elsevier, vol. 140(2), pages 368-390.
    2. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    3. Benos, Evangelos & Sagade, Satchit, 2016. "Price discovery and the cross-section of high-frequency trading," Journal of Financial Markets, Elsevier, vol. 30(C), pages 54-77.
    4. Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021. "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series crctr224_2021_257, University of Bonn and University of Mannheim, Germany.
    5. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
    6. Fabio S. Dias & Gareth W. Peters, 2020. "A Non-parametric Test and Predictive Model for Signed Path Dependence," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 461-498, August.
    7. Guanqing Liu, 2019. "Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 669-704, August.
    8. Frino, Alex & Mollica, Vito & Webb, Robert I. & Zhang, Shunquan, 2017. "The impact of latency sensitive trading on high frequency arbitrage opportunities," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 91-102.
    9. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    10. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
    11. Aldrich, Eric M & Friedman, Daniel, 2019. "Order Protection through Delayed Messaging," Santa Cruz Department of Economics, Working Paper Series qt4938f518, Department of Economics, UC Santa Cruz.
    12. Hu, Gang & Jo, Koren M. & Wang, Yi Alex & Xie, Jing, 2018. "Institutional trading and Abel Noser data," Journal of Corporate Finance, Elsevier, vol. 52(C), pages 143-167.
    13. John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
    14. Ziyi Xu & Xue Cheng, 2022. "Are Large Traders Harmed by Front-running HFTs?," Papers 2211.06046, arXiv.org, revised Jul 2023.
    15. Sağlam, Mehmet & Moallemi, Ciamac C. & Sotiropoulos, Michael G., 2019. "Short-term trading skill: An analysis of investor heterogeneity and execution quality," Journal of Financial Markets, Elsevier, vol. 42(C), pages 1-28.
    16. Gider, Jasmin & Schmickler, Simon & Westheide, Christian, 2019. "High-frequency trading and price informativeness," SAFE Working Paper Series 248, Leibniz Institute for Financial Research SAFE, revised 2019.
    17. Zheng, Jiayi & Zhu, Yushu, 2023. "Algorithmic trading and block ownership initiation: An information perspective," The British Accounting Review, Elsevier, vol. 55(4).
    18. Ge, Hengshun & Yang, Haijun & Doukas, John A., 2024. "The optimal strategies of competitive high-frequency traders and effects on market liquidity," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 653-679.
    19. Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.
    20. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
    21. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    22. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: evidence from Frankfurt-London microwave," LSE Research Online Documents on Economics 119989, London School of Economics and Political Science, LSE Library.
    23. Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
    24. Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
    25. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.

  19. Brogaard, Jonathan & Engelberg, Joseph & Parsons, Christopher A., 2014. "Networks and productivity: Causal evidence from editor rotations," Journal of Financial Economics, Elsevier, vol. 111(1), pages 251-270.

    Cited by:

    1. Heckman, James J. & Moktan, Sidharth, 2018. "Publishing and Promotion in Economics: The Tyranny of the Top Five," IZA Discussion Papers 11868, Institute of Labor Economics (IZA).
    2. Angus, Simon D. & Atalay, Kadir & Newton, Jonathan & Ubilava, David, 2021. "Geographic diversity in economic publishing," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 255-262.
    3. Hui Dong & Dan Luo & Xudong Zeng & Zhentao Zou, 2023. "Cross‐affiliation collaboration and power laws for research output of institutions: Evidence and theory from top three finance journals," International Studies of Economics, John Wiley & Sons, vol. 18(4), pages 502-526, December.
    4. Raffaele Miniaci & Michele Pezzoni, 2020. "Social connections and editorship in economics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(3), pages 1292-1317, August.
    5. Lorenzo Ductor & Bauke Visser, 2023. "Concentration of power at the editorial boards of economics journals," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 189-238, April.
    6. Püttmann, Vitus & Thomsen, Stephan L. & Trunzer, Johannes, 2020. "Zur Relevanz von Ausstattungsunterschieden für Forschungsleistungsvergleiche: Ein Diskussionsbeitrag für die Wirtschaftswissenschaften in Deutschland," Hannover Economic Papers (HEP) dp-679, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, revised Mar 2021.
    7. Lucas Ronconi & Ana Lúcia Kassouf, 2023. "Demand-Side Obstacles to Publishing Economics Research: A View from the South," Progress in Development Studies, , vol. 23(1), pages 99-105, January.
    8. David Card & Stefano DellaVigna, 2017. "What do Editors Maximize? Evidence from Four Leading Economics Journals," NBER Working Papers 23282, National Bureau of Economic Research, Inc.
    9. Onder, Ali Sina & Popov, Sergey V & Schweitzer, Sascha, 2018. "Leadership in Scholarship: Editors' Influence on the Profession's Narrative," Cardiff Economics Working Papers E2018/2, Cardiff University, Cardiff Business School, Economics Section.
    10. David Card & Stefano DellaVigna, 2014. "Page Limits on Economics Articles: Evidence from Two Journals," Journal of Economic Perspectives, American Economic Association, vol. 28(3), pages 149-168, Summer.
    11. Yushan Hu & Ben Li, 2017. "The Production Economics of The Economics Production," Boston College Working Papers in Economics 924, Boston College Department of Economics.
    12. Christos Kolympiris & Sebastian Hoenen & Peter G. Klein, 2019. "Learning by Seconding: Evidence from National Science Foundation Rotators," Organization Science, INFORMS, vol. 30(3), pages 528-551, May.
    13. Rachida Aïssaoui & J. Michael Geringer & Grigorios Livanis, 2020. "International Collaboration and European Contributions to International Business Research," Management International Review, Springer, vol. 60(6), pages 827-868, December.
    14. Daniel S. Hamermesh, 2018. "Citations in Economics: Measurement, Uses, and Impacts," Journal of Economic Literature, American Economic Association, vol. 56(1), pages 115-156, March.
    15. Sebastian Galiani & Ugo Panizza, 2020. "Introduction," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 1-7, Centre for Economic Policy Research.
    16. Amarante, Veronica & Zurbrigg, Julieta, 2022. "The marginalization of southern researchers in Development," World Development Perspectives, Elsevier, vol. 26(C).
    17. Nattavudh Powdthavee & Yohanes E. Riyanto & Jack L. Knetsch, 2020. "Impact of lower-rated journals on economists’ judgements of publication lists," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 17-22, Centre for Economic Policy Research.
    18. Ugo Panizza, 2020. "Suggestions for further reading," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 159-165, Centre for Economic Policy Research.
    19. Raj Chetty & Emmanuel Saez & László Sándor, 2020. "Determinants of prosocial behaviour - Lessons from an experiment with referees at the Journal of Public Economics," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 83-90, Centre for Economic Policy Research.
    20. Ivan Cherkashin & Svetlana Demidova & Susumu Imai & Kala Krishna, 2020. "Evaluating journal performance using inside data," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 77-81, Centre for Economic Policy Research.
    21. Zoë B. Cullen & Ricardo Perez-Truglia, 2019. "The Old Boys' Club: Schmoozing and the Gender Gap," NBER Working Papers 26530, National Bureau of Economic Research, Inc.
    22. Das, Jishnu & Do, Quy-Toan & Shaines, Karen & Srikant, Sowmya, 2013. "U.S. and them: The Geography of Academic Research," Journal of Development Economics, Elsevier, vol. 105(C), pages 112-130.
    23. Cloos, Janis & Greiff, Matthias & Rusch, Hannes, 2020. "Geographical Concentration and Editorial Favoritism within the Field of Laboratory Experimental Economics," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224565, Verein für Socialpolitik / German Economic Association.
    24. Bransch, Felix & Kvasnicka, Michael, 2017. "Male Gatekeepers Gender Bias in the Publishing Process?," IZA Discussion Papers 11089, Institute of Labor Economics (IZA).
    25. Raphael Auer & Giulio Cornelli & Christian Zimmermann, 2023. "A journal ranking based on central bank citations," BIS Working Papers 1139, Bank for International Settlements.
    26. Joshua Aizenman & Kenneth Kletzer, 2020. "Networking, citations of academic research, and premature death," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 51-55, Centre for Economic Policy Research.
    27. Daniel Hamermesh, 2020. "Measuring success in economics," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 11-15, Centre for Economic Policy Research.
    28. Cloos, Janis & Greiff, Matthias & Rusch, Hannes, 2020. "Geographical Concentration and Editorial Favoritism within the Field of Laboratory Experimental Economics (RM/19/029-revised-)," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
    29. Georg, Co-Pierre & Opolot, Daniel & Rose, Michael, 2019. "Discussants," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203575, Verein für Socialpolitik / German Economic Association.
    30. Sultan Orazbayev, 2017. "Diversity and collaboration in Economics," UCL SSEES Economics and Business working paper series 2017-4, UCL School of Slavonic and East European Studies (SSEES).
    31. Charles Wyplosz, 2020. "Covid Economics - A new kind of publication," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 147-157, Centre for Economic Policy Research.
    32. Trevon Logan & Samuel L. Myers, Jr., 2020. "The failure of economics and the marginalisation of research on race," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 117-123, Centre for Economic Policy Research.
    33. David Card & Stefano DellaVigna, 2020. "What Do Editors Maximize? Evidence from Four Economics Journals," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 195-217, March.
    34. Stan Liebowitz, 2020. "Our uneconomic methods of measuring economic research," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 99-104, Centre for Economic Policy Research.
    35. Tian, Jinfang & Zhang, Mingxuan & Xue, Rui & Cao, Wei & Shan, Yuli, 2022. "The face of achievement: Editors' facial structure and journal performance," International Review of Financial Analysis, Elsevier, vol. 84(C).
    36. Chongyu Dang & Zhichuan (Frank) Li, 2020. "Drivers of research impact: evidence from the top three finance journals," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2759-2809, September.
    37. Rui Dai & Lawrence Donohue & Qingyi (Freda) Drechsler & Wei Jiang, 2023. "Dissemination, Publication, and Impact of Finance Research: When Novelty Meets Conventionality," Review of Finance, European Finance Association, vol. 27(1), pages 79-141.
    38. Rose, Michael E. & Georg, Co-Pierre, 2021. "What 5,000 acknowledgements tell us about informal collaboration in financial economics," Research Policy, Elsevier, vol. 50(6).
    39. Yann Bramoull'e & Kenan Huremovi'c, 2017. "Promotion through Connections: Favors or Information?," Papers 1708.07723, arXiv.org, revised May 2024.
    40. Federica Bologna & Angelo Iorio & Silvio Peroni & Francesco Poggi, 2023. "Do open citations give insights on the qualitative peer-review evaluation in research assessments? An analysis of the Italian National Scientific Qualification," Scientometrics, Springer;Akadémiai Kiadó, vol. 128(1), pages 19-53, January.
    41. Baccini, Federica & Barabesi, Lucio & Baccini, Alberto & Khelfaoui, Mahdi & Gingras, Yves, 2022. "Similarity network fusion for scholarly journals," Journal of Informetrics, Elsevier, vol. 16(1).
    42. Ann Mari May & Mary G. McGarvey & Yana Rodgers & Mark Killingsworth, 2021. "Critiques, Ethics, Prestige and Status: A Survey of Editors in Economics," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 47(2), pages 295-318, April.
    43. Baruffaldi, Stefano & Visentin, Fabiana & Conti, Annamaria, 2016. "The productivity of science & engineering PhD students hired from supervisors’ networks," Research Policy, Elsevier, vol. 45(4), pages 785-796.
    44. Bethmann, Dirk & Bransch, Felix & Kvasnicka, Michael & Sadrieh, Abdolkarim, 2023. "Home Bias in Top Economics Journals," IZA Discussion Papers 15965, Institute of Labor Economics (IZA).
    45. Noriko Amano-Patiño & Elisa Faraglia & Chryssi Giannitsarou & Zeina Hasna, 2020. "Who is doing new research in the time of COVID-19? Not the female economists," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 137-142, Centre for Economic Policy Research.
    46. Cloos, Janis & Greiff, Matthias & Rusch, Hannes, 2021. "Editorial favoritism in the field of laboratory experimental economics (RM/20/014-revised-)," Research Memorandum 005, Maastricht University, Graduate School of Business and Economics (GSBE).
    47. Radek Zdeněk & Jana Lososová, 2018. "An analysis of editorial board members’ publication output in agricultural economics and policy journals," Scientometrics, Springer;Akadémiai Kiadó, vol. 117(1), pages 563-578, October.
    48. John O’Hagan & Lukas Kuld, 2020. "Multi-authored journal articles in economics - Why the spiralling upward trend?," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 93-98, Centre for Economic Policy Research.
    49. Shuo Xu & Mengjia An & Xin An, 2021. "Do scientific publications by editorial board members have shorter publication delays and then higher influence?," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(8), pages 6697-6713, August.
    50. Siganos, Antonios, 2021. "Guest editor networking in special issues," International Review of Financial Analysis, Elsevier, vol. 76(C).
    51. Chan, Kam C. & Chang, Chih-Hsiang & Chang, Yuanchen, 2015. "The network effects of publishing in finance," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 305-316.
    52. Carmela Lutmar & Yaniv Reingewertz, 2021. "Academic in-group bias in the top five economics journals," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(12), pages 9543-9556, December.
    53. Hamermesh, Daniel S. & Kosnik, Lea-Rachel, 2022. "Aging in Style: Does How We Write Matter?," IZA Discussion Papers 15739, Institute of Labor Economics (IZA).
    54. Erica Bosio & Filip Jolevski & Joseph Lemoine & Rita Ramalho, 2020. "Survival of firms in developing economies during economic crisis," Vox eBook Chapters, in: Simeon Djankov & Ugo Panizza (ed.), COVID-19 in Developing Economies, edition 1, volume 1, chapter 1, pages 157-174, Centre for Economic Policy Research.
    55. Tommaso Colussi, 2020. "The role of connections in the economics publishing process," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 105-110, Centre for Economic Policy Research.
    56. Lorenzo Ductor & Bauke Visser, 2021. "When a coauthor joins an editorial board," Tinbergen Institute Discussion Papers 21-043/VII, Tinbergen Institute.
    57. María Victoria Anauati & Sebastian Galiani & Ramiro H. Gálvez, 2020. "How different are citation patterns across journal tiers in economics?," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 35-43, Centre for Economic Policy Research.
    58. Berninger, Marc & Kiesel, Florian & Schiereck, Dirk & Gaar, Eduard, 2021. "Citations and the readers’ information-extracting costs of finance articles," Journal of Banking & Finance, Elsevier, vol. 131(C).
    59. Zhang, Tianjiao & Shi, Jin & Situ, Lingyun, 2021. "The correlation between author-editorial cooperation and the author’s publications in journals," Journal of Informetrics, Elsevier, vol. 15(1).
    60. Reinartz, Sebastian J. & Urban, Daniel, 2017. "Finance conference quality and publication success: A conference ranking," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 155-174.
    61. Rubin, Amir & Rubin, Eran & Segal, Dan, 2023. "Editor home bias?," Research Policy, Elsevier, vol. 52(6).
    62. María Victoria Anauati & Sebastian Galiani & Ramiro H. Gálvez, 2020. "Differences in citation ageing patterns across economics research articles are as sharp as those observed across fields of study," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 45-50, Centre for Economic Policy Research.
    63. Sampagnaro, Gabriele, 2024. "The disciplinarity of finance journals," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 374-388.
    64. Christoph Endenich & Rouven Trapp, 2016. "Cooperation for Publication? An Analysis of Co-authorship Patterns in Leading Accounting Journals," European Accounting Review, Taylor & Francis Journals, vol. 25(3), pages 613-633, September.
    65. Galiani, Sebastian & Panizza, Ugo (ed.), 2020. "Publishing and Measuring Success in Economics," Vox eBooks, Centre for Economic Policy Research, number p332.
    66. Sebastian Hoenen & Christos Kolympiris, 2020. "The Value of Insiders as Mentors: Evidence from the Effects of NSF Rotators on Early-Career Scientists," The Review of Economics and Statistics, MIT Press, vol. 102(5), pages 852-866, December.
    67. John P. Conley & Mario J. Crucini & Robert A. Driskill & Ali Sina Önder, 2020. "Publication lags and the research output of young economists," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 67-72, Centre for Economic Policy Research.
    68. Kyle Siler & Philippe Vincent-Lamarre & Cassidy R Sugimoto & Vincent Larivière, 2022. "Cumulative advantage and citation performance of repeat authors in scholarly journals," PLOS ONE, Public Library of Science, vol. 17(4), pages 1-17, April.
    69. Gregory N. Price & Rhonda Vonshay Sharpe, 2020. "The dearth of Black economics faculty - Is racial bias the culprit?," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 125-133, Centre for Economic Policy Research.
    70. Popov, Sergey V, 2022. "Tactical Refereeing and Signaling by Publishing," Cardiff Economics Working Papers E2022/14, Cardiff University, Cardiff Business School, Economics Section.
    71. Agrawal, Ajay & McHale, John & Oettl, Alexander, 2017. "How stars matter: Recruiting and peer effects in evolutionary biology," Research Policy, Elsevier, vol. 46(4), pages 853-867.
    72. John Cochrane, 2020. "Covid and economics publishing," Vox eBook Chapters, in: Sebastian Galliani & Ugo Panizza (ed.), Publishing and Measuring Success in Economics, edition 1, volume 1, chapter 1, pages 143-145, Centre for Economic Policy Research.
    73. Si, Kao & Li, Yiwei & Ma, Chao & Guo, Feng, 2023. "Affiliation bias in peer review and the gender gap," Research Policy, Elsevier, vol. 52(7).
    74. Andrew Hussey & Sheena Murray & Wendy Stock, 2022. "Gender, coauthorship, and academic outcomes in economics," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 465-484, April.
    75. Ali Sina Önder & Sergey V. Popov & Sascha Schweitzer, 2021. "Leadership in Scholarship: Editors’ Appointments and the Profession’s Narrative," Working Papers in Economics & Finance 2021-05, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

  20. Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014. "High-Frequency Trading and Price Discovery," The Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
    See citations under working paper version above.
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